<BFF8C8ADC0CCC0DAC0B2BDBABFD2434350C3BBBBEAC1A6B5B5BEC85F31323033313428BEF7B9ABBCB3B8EDC8B85FC0DAB7E1292E687770> ······························································· 9
······························································· 32
. ····································· 76
······························································ 102
················································ 148
···························································· 155
··················································· 160
2. (p176)
3. / () (p182)
- 1 -

G20
(where appropriate)
2012 (CCP)
(TR) →
(non-centrally cleared contracts)
(higher capital requirement)
G20
- 3 -

×≥
1.
: OECD
(1)
AAA AA- A+ A- BBB+ BBB- BB+ B- B-
20% 50% 100% 100% 150% 100%
(2) OECD
20% 50% 100% 100% 150% 100%
3 20%
, 100% .

2.
:
AAA AA- A+ A- BBB+ BB- BB-
20% 50% 100% 150% 100%


(CCP Clearing)


24 2
(CCP )
- 9 -


4,648,431 2,156,261 116,610 8,055 3,329 6,932,686 () (67.05%) (31.10%) (1.68%) (0.12%) (0.05%) (100%)
3,484,733 10,180,328 379,294 6,073 8,205 14,058,633 () (24.79%) (72.41%) (2.70%) (0.04%) (0.06%) (100%)
(: )
2008 2009 2010
- 11 -

( )
( )
- 13 -
()
- 17 -
()
< 11 >
3 6 1 * 10,408 1 - 134 10,543
98.72% 0.01% - 1.27% 100.00% : CCP ( ) * 1
7.
() ()
10 41,262 99.64% 1,383,780 99.82% 1,832,374 99.37%
10 151 0.36% 2,558 0.18% 11,613 0.63%
- 19 -
1 2 %
1 5 %
1 8 %
2 1 %
2 4 %
3 M 6 M 9 M 1 Y 1 .5 Y 2 Y 3 Y 4 Y 5 Y 6 Y 7 Y 8 Y 9 Y 1 0 Y 1 5 Y 2 0 Y
()
- 21 -
10
10~ 100
100 200 300 400 500 600 1,000 1,000 *
2.95 2.29 25.97 19.99 14.02 3.88 12.08 2.12 4.28 2.38
* 1,500(0.79%), 2,000(0.58%) 8,000(1)
()
( )
11.
( )
- 23 -
(A type)
(B type)

××
'11
Adjusted Unadjusted * 7,689 1 73 7,763 99.05% 0.01% 0.94% 100.00%
: CCP * Adjusted & Unadjusted

( )
- 28 -

Moody's S&P Fitch

Upper medium grade A1 A+
A-1 A+
P-2 A-
A-2 A-
P-3 BBB
A-3 BBB
Ba2 BB BB Ba3 BB- BB-
Highly speculative B1 B+ B+ B2 B B B3 B- B-
Substantial risks Caa1 CCC+
Caa3 CCC-
- 41 -
Barclays, BNP Parobas Securities, BNY Mellon Clearing, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs & Co, JPMorgan, Merrill Lynch, Morgan Stanley, Nomura Securities, RBS, UBS, Wells Fargo Securities 14
Abbey, ABN AMRO Clearing, Banca, Banco Bilbao, Banco Santander, Bank of America NA, Bank of Montreal, Barclays, BNP Parobas, Canadian Imperial, Citibank NA, Citigroup, Commerzbank AG, Credit Agricole, Credit Suisse International, Credit Suisse Securities, Danske, Deutsche Bank AG, Dexia Bank, Dz Bank AG, Goldman Sachs Bank, Goldman Sachs International, HSBC Bank PLC, HSBC Bank USA NA, HSBC France, ING, JPMorgan, Landesbank, Lloyds, Merrill Lynch International Bank, Mizuho UFJ, Mizuho Capital, Morgan Stanley&Co International Plc, Morgan Stanley Capital, Natixis, Nomura Global, Nomura International, Rabobank, Royal Bank of Canada, Societe, Standard Chartered Bank, The Bank of Nova Scotia, The Hong Kong Shanghai Banking, The Royal Bank of Scotland NV, The Royal Bank of Scotland plc, The Toronto-Dominion, UBS AG, UniCredit Bank AG 48
, , , UFJ , MUFG 5
Barclays, BNP Parobas Securities, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs & Co, JPMorgan, Merrill Lynch, Morgan Stanley, Nomura Securities, UBS, 11
Bank of America N.A, Barclays Bank PLC, Barclays Capital Inc, BNP Paribas, BNP Paribas Securities, Citibank NA, Citigroup Global Markets, Credit Suisse International, Credit Suisse Securities(USA) LLC, Deutsche Bank AG London Branch, Deutsche Bank Securities, Goldman Sachs & Co, Goldman Sachs International, HSBC Bank USA N.A, JPMorgan Chase Bank National Association, JPMorgan Securities, Merrill Lynch International, Merrill Lynch Pierce, Morgan Stanley Capital Services LLC, Morgan Stanley & Co LLC, Nomura International PLC, Nomura Securities International, Societe Generale, The Royal Bank of Scotland plc, UBS AG London Branch, UBS Securities LLC 26
Bank of America N.A, Barclays Bank PLC, BNP Paribas, Citigroup Global Markets, Credit Suisse International, Deutsche Bank AG, Goldman Sachs International, HSBC Bank PLC, JPMorgan Chase Bank National Association, Merrill Lynch International, Morgan Stanley Capital Services LLC, Nomura International PLC, The Royal Bank of Scotland plc, UBS AG London Branch, UniCredit Bank AG 16
BNP Paribas, Credit Agricole Corporate and Investment, Deutsche Bank AG London Branch, HSBC Bank PLC, Natixis SA, Timber Hill(Europe) AG 6
- 42 -

( )
( )
( )
( )
( download(/CSV ) ) (Web) KRX (Web) ( download(/CSV )
)
KRX (I/F) KRX (I/F)
- 47 -
KRX
- 49 -


CME IRS MarkitWire, bloomberg CDS CME (Trade Booking Facility) Bloomberg
ICE Clear Credit ICE (eConfirm)
CDS ICE (ICE Link) Deriv/SERV, MarketAxess, Bloomberg
LCH.Clearnet IRS MarkitWire, SWIFT
Eurex Clearing CDS Deriv/SERV
IRS MarkitWire F/X Thomson Reuters
JSCC IRS() MarkitWire
CDS Deriv/SERV
()
()
- 56 -
20110715-0004 …… () -
(Affirmation )
( )
( )
- 66 -
- 67 -

()
t t+1 t+1+3M t+1+6M t+1+9M t+1+12M
- 77 -
( )
(Coupon)
- 78 -
(2)
* IDB IDB
- 81 -
- 82 -
(4) 3 (Bootstrapping)


: Bootstrapping DFT,T+3nM
n→2,3,4,... ,
×


×
×
×
× ×

×

×
×


×

(10) NPV






× ×

NPV Previous
6.3 ()
6.4
6.4 ()
6.7 ()

6.7 ()
6.8 ()
6.8 ()
6.9 ()
6.9 ()
6.10 ()
Previous NPV
Previous Adjusted
5.14 ()
5.17 ()
5.17 ()
5.18 ()

5.18 ()
5.19 ()
5.19 ()
5.20 ()
5.20 ()
5.21 ()
- 98 -
Previous NPV
Previous Adjusted
5.17
()
5.18
5.19
()
5.20
5.20
()
5.21
NPV Adjusted NPV
Previous NPV
Previous Adjusted
2.11
()
2.12
2.12
()
2.15
-
2.17
()
2.18
- 99 -
- 100 -
(/ )

-


( )
- 107 -
~10Y

1 2 3 4 5 6 7 8 9 10
0.7% 1.2% 1.4% 1.5% 1.8% 2.2% 2.5% 2.8% 3.0% 3.1%
()
- 117 -
1 2 3 4 5 6 7 8 9 10
1 70% 50% 40% 30% 30% 20% 20% 20% 10%
2 70% 80% 70% 60% 50% 50% 40% 40% 40%
3 50% 80% 80% 70% 70% 70% 60% 60% 60%
4 40% 70% 80% 80% 80% 80% 70% 70% 70%
5 30% 60% 70% 80% 80% 80% 80% 80% 80%
6 30% 50% 70% 80% 80% 80% 80% 80% 80%
7 20% 50% 70% 80% 80% 80% 80% 80% 80%
8 20% 40% 60% 70% 80% 80% 80% 80% 80%
9 20% 40% 60% 70% 80% 80% 80% 80% 80%
10 10% 40% 60% 70% 80% 80% 80% 80% 80%
- 119 -
()
- 120 -
()
()

1 2 3 4 5 6 7 8 9 10

0.06% 0.12% 0.17% 0.22% 0.28% 0.32% 0.37% 0.41% 0.45% 0.49%
- 121 -
( )

- 125 -
5 4 3 2 1 “” 0 1 2 3 4 5 6 7
0% 0.1% 0.15% 0.2% 0.17% 0.21% - -
1 2 3 4 5 6 7 8 9 10
(a) 0.7% 1.2% 1.4% 1.5% 1.8% 2.2% 2.5% 2.8% 3.0% 3.1%
*
(a×2/3) 0.5% 0.8% 0.9% 1.0% 1.2% 1.5% 1.7% 1.9% 2.0% 2.1%
5 (a ) 0.7% 1.2% 1.4% 1.5% 1.8% 2.2% 2.5% 2.8% 3.0% 3.1%
()
- 126 -
(PCA Model)

()
()
- 139 -
()
- 140 -
( )
()
()
- 151 -
- 152 -
()
()
()
(1)
(2)
()
()
()
- 158 -
- 159 -
. JSCC CDS
()
()
()
()
()

- 164 -
()
(1)
(2)
- 166 -
()
()
 
 
10,408 1 - 134 10,543
98.72% 0.01% - 1.27% 100.00%
‘11 (Day Count Fraction)
Actual/ 365(Fixed)
8,409 - - 128 8,537
Modified Following
99.06% 0.73% 0.00% 0.00% 0.21% 100%
'11
Adjusted Unadjusted *
- 174 -
1 2~3 4~5 6~7 8~9 10
1 - 2 5 - 3
2. Confirmation
6,100 11,008 17,108
35.66% 64.34% 100.00%
3 Call
11 - 10 1 6 5
CD 6
2 3 6 10 - 1 -
15:30 16:00 16:30 17:00 17:30 18:00 09:00
0 1 3 3 1 1 1
6M 9M 1Y 1.5Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 11Y 12Y 15Y 17Y 20Y
10 10 11 5 11 11 11 10 6 11 4 4 11 0 9 10 0 11 1
3. Valuation

IDB bid-ask 7 ICAP, Tullet Prebon
IDB bid-ask 4 KMBC, TTKL, PREA, ICSG ICAP, Prebon, Tradition
-
- 176 -
(: )
(: )
(: )
(: )
2010 (: )

2008 2009 2010 ( )
6,249 (476.48%)
5,304 (-15.12%)
3,608 (-31.98%)
2010 IRS
(: )
()
1,382 (38.30%)
2,216 (61.42%)
0 (0%)
10 (0.28%)
0 (0%)
3,608 (100%)
()
217 (12.57%)
1,499 (86.85%)
0 (0%)
10 (0.58%)
0 (0%)
1,726 (100%)
2008 2009 2010
( )
2010
(: )
()
3,148,062 (95.90%)
130,025 (3.96%)
525 (0.02%)
3,718 (0.11%)
200 (0.01%)
3,282,530 (100%)
()
2,903,171 (95.59%)
129,556 (4.26%)
525 (0.02%)
3,718 (0.12%)
200 (0.01%)
3,037,170 (100%)
(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4



()
(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4

( )
( )
(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4




(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4

( )
( )
(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4

( )
( )

(: )
’10. 2/4 ’10. 3/4 ’10. 4/4 ’11. 1/4 ’11. 2/4

- - - - -
( )
( )
- 182 -
(IDB )
- 183 -
( )
- ,
- 185 -
- 186 -
- 187 -

3
(1 2)